The Impact of COVID-19 News and Investor Sentiment in European Stock Pricing, aRegional, Country, and Eco-nomic Sector Review

• Óscar V. De la Torre Torres ^[1] ; Dora Aguilasocho Montoya ^[1] ; Leticia Bollain Parra ^[2] ; Amador Durán Sánchez ^[3]
  1. [1] Universidade Estadual de Michoacán -UMSNH-Morelia
  2. [2] Saint Nicholas and Hidalgo’s, Michoacán State University (UMSNH) Morelia, México
  3. [3] Departamento de Economia Financeira e Contabilidade, Universidade de Extremadura

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• Localización: Revista portuguesa de estudos regionais, ISSN-e 1645-586X, Nº. 60, 2022, págs. 165-177
• Idioma: inglés
• DOI: 10.59072/rper.vi60.69
• Títulos paralelos:
  • O Impacto das Notícias do COVID-19 eoSentimento dos Investi-dores no Preço das Ações Europeias, uma Análise Regional, Naci-onal edo Setor Econômico
• Enlaces
  • Texto completo
• Resumen
  • English

    In the present paper we extended the Fama-French (FF), three-factor model, by including the U.S. VIX and European VSTOXX implied volatility indexes. Also, the Baker, Bloom Davis, Kost, and Re-nault Economic policy (WEUI), pandemics (WPUI) news, and social media (TWITUI) uncertainty in-dex were included. We did this in order to test if, the main Eastern, Northern, Southern, and Western European stock markets could be priced with behavioral biases such as investor sentiment. With a bal-anced panel data of 659 European companies from January 2017 to Jun2021, we found that the WPUI could be used in a regional perspective, along with the VIX and TWITUI factors. In a country-specific perspective, only the inclusion of the TWITUI factor led to better-fitting results in Finland, Ireland, the Netherlands, Poland, Spain,and Sweden. Our results suggest that other pandemic news sentiment in-dexes should be developed and used in the main European stock markets and encourage the use of social media investor sentiment proxies in risk and asset-pricing multifactor models.

  • português

    No presente artigo estendemos o Fama-French(FF), modelo de três fatores, incluindo os índices de volatilidade implícita U.S. VIX e European VSTOXX. Além disso, o índice de incerteza da política econômica de Baker, Bloom Davis, Kost e Renault (WEUI), pandemias (WPUI) e mídia social (TWITUI) foram incluídos. Fizemos isso para testar se os principais mercados de ações da Europa Ori-ental, do Norte, do Sul e do Oeste poderiam ser precificados com vieses comportamentais, como o sen-timento do investidor. Com um painel de dados balanceado de 659 empresas europeias de janeiro de 2017 a junho de 2021, descobrimos que o WPUI poderia ser usado em uma perspectiva regional, junta-mente com os fatores VIX e TWITUI. Em uma perspectiva específica do país, apenas a inclusão do fator TWITUI levou a resultados mais adequados na Finlândia, Irlanda, Holanda, Polônia, Espanha e Suécia. Nossos resultados sugerem que outros índices de sentimento de notícias pandêmicas devem ser desen-volvidos e usados nos principais mercados de ações europeus e encorajar o uso de proxies de sentimento do investidor de mídia social em modelos multifatoriais de precificação de risco e de ativos

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